Time-varying fractionally integrated processes with finite or infinite variance and nonstationary long memory

DOI10.1007/s10440-007-9090-5zbMath1116.62088OpenAlexW2008628416MaRDI QIDQ996717

Marijus Vaičiulis, Donatas Surgailis, Kristina Bružaitė

Publication date: 19 July 2007

Published in: Acta Applicandae Mathematicae (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10440-007-9090-5

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Self-similar stochastic processes (60G18)

Related Items (3)

Aggregation of random-coefficient AR(1) process with infinite variance and common innovations ⋮ Asymptotics of partial sums of linear processes with changing memory parameter ⋮ Nonhomogeneous fractional integration and multifractional processes

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Limit theorems for sums of linearly generated random variables
• Invariance principle for a class of non stationary processes with long memory
• Weighted sums of i.i.d. random variables attracted to integrals of stable processes
• Weak convergence of sums of moving averages in the \(\alpha\)-stable domain of attraction
• Time series: theory and methods.
• Fractional ARIMA with stable innovations
• Almost periodically correlated processes with long memory
• Time-Varying Fractionally Integrated Processes with Nonstationary Long Memory
• The Invariance Principle for Stationary Processes

This page was built for publication: Time-varying fractionally integrated processes with finite or infinite variance and nonstationary long memory